英文标题：
《Energy, entropy, and arbitrage》
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作者：
Soumik Pal and Ting-Kam Leonard Wong
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最新提交年份：
2016
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英文摘要：
We introduce a pathwise approach to analyze the relative performance of an equity portfolio with respect to a benchmark market portfolio. In this energy-entropy framework, the relative performance is decomposed into three components: a volatility term, a relative entropy term measuring the distance between the portfolio weights and the market capital distribution, and another entropy term that can be controlled by the investor by adopting a suitable rebalancing strategy. This framework leads to a class of portfolio strategies that allows one to outperform, in the long run, a market that is diverse and sufficiently volatile in the sense of stochastic portfolio theory. The framework is illustrated with several empirical examples.
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中文摘要：
我们引入一种路径方法来分析股票投资组合相对于基准市场投资组合的相对表现。在这个能量熵框架中，相对绩效被分解为三个组成部分：波动率项、衡量投资组合权重与市场资本分布之间距离的相对熵项，以及投资者可以通过采取适当的再平衡策略来控制的另一个熵项。这一框架引出了一类投资组合策略，从长远来看，它能让一个人超越一个在随机投资组合理论意义上具有多样性和足够波动性的市常通过几个实证例子说明了该框架。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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